Windows only: Free application uSbuntu Live Creator installs a Live CD from an ISO image onto your USB flash drive—much more useful, portable, and easy to deal with than carrying around a CD.

Once you've downloaded and extracted the application, you can pick a USB drive, pick the source for the copy of Linux, and even format the drive all in one simple application. There are options for creating persistent storage, so you can save your settings between uses, and you can even boot from VirtualBox if you want to.